Bund futures and the price type problem: a MiFID II reporting challenge | Reg-X Innovations — An ALTALLO Perspective
By: Reg-X Innovations · Published: 2026-09-01
BaFin is challenging firms on price type and quantity type for Bund futures under MiFIR RTS 22. Reg-X Innovations on the reporting convention, remediation, and EU and UK reform across MiFIR, EMIR and SFTR.
A MiFID II transaction reporting issue that looks like one field and is not.
01. The issue: BaFin is challenging firms on price type and quantity type for Bund futures reported under MiFIR RTS 22.
A MiFID II transaction reporting issue is emerging around Bund futures traded on venues. BaFin has been challenging firms on the reporting of price type and quantity type, particularly where the instrument is quoted using a percentage price convention but the firm has reported the price as a monetary value.
On the face of it this reads as a field level correction. In practice it is a question about how a firm represents a contract, and the answer has to hold together across the venue convention, the price, the quantity and the source data behind all three.
02. Why it is not one field.
Price and quantity are a pair. Change how the price is represented and the quantity representation has to move with it, otherwise the report is internally inconsistent even though each field looks defensible on its own. For a Bund future that pair sits on top of the contract size and the nominal value of the underlying, so the interpretation has to be carried all the way back through the trading and booking data that feeds the report.
The complication is that market conventions and reporting practices are not necessarily consistent across venues, even for similar instruments. A treatment that is correct for one contract on one venue is not automatically correct for its near equivalent elsewhere, which is precisely why this surfaces as a supervisory challenge rather than a validation rejection.
03. Firm review points for Bund futures reporting.
Six points to work through for the specific instrument and venue. Mark off the ones your firm could evidence today if a competent authority asked.
Venue quoting convention: How the venue itself quotes the contract. A percentage of nominal convention and a monetary convention produce very different reports from the same trade.
Price type: Whether the reported price should be expressed as a percentage price or as a monetary value under RTS 22 field 33 and the associated price currency treatment.
Quantity type: How the corresponding quantity is represented, in units, nominal or monetary amount, so that price and quantity are internally consistent.
Contract size and nominal: The relationship between the futures contract size, the nominal value of the underlying and the price actually reported.
Source data lineage: Consistency between the trading and booking systems feeding the report and the RTS 22 fields finally submitted through the ARM.
Historic population: What happens to transactions already reported on the previous interpretation, and over what look-back period.
04. Remediation of transactions already reported on a different basis.
The practical question is twofold: what is the correct reporting convention for the specific instrument and venue, and how do you remediate transactions already reported on a different basis? The second half is usually the harder one, because the affected population is often undefined at the point the issue is raised.
01. Scope the population: Identify affected transactions across venues, instruments and reporting entities, including the trades a firm does not yet know are in scope.
02. Confirm the convention: Establish the correct price type and quantity type treatment for the specific instrument and venue, and document the rationale.
03. Determine corrections: Work out which records require cancellation and resubmission, which require amendment, and which are correct as filed.
04. Validate the data: Test corrected records against RTS 22 validation rules and internal reconciliations before anything is sent.
05. Back report and evidence: Submit the remediation and retain the audit trail: the interpretation applied, the population treated, and the assurance performed.
05. What is coming in the EU and UK: MiFIR, EMIR and SFTR reporting reform.
The Bund futures question is a symptom of a wider shift. Supervisors are reading reported data at field level while the reporting frameworks themselves are being rewritten on two separate tracks. Firms that cannot evidence an interpretation, or reconstruct a historic population, will feel both at once.
[EU] Simplification of transaction reporting: On 2 July 2026 ESMA published its final report on a comprehensive approach to simplifying financial transaction reporting, setting a direction towards a report once model across MiFIR, EMIR and SFTR and putting a figure of up to EUR 1 billion a year on the potential saving. It is a set of recommendations rather than a rule change. Nothing in EMIR Refit, MiFIR Article 26 or SFTR Article 4 has moved as a result, but the direction of travel is now on the record and firms can start mapping where duplication sits in their own architecture.
[EU] Revised RTS 22 and RTS 24 under the MiFIR review: ESMA's final report on the review of RTS 22 on transaction data reporting and RTS 24 on order book data was published in June 2025 and sits with the European Commission. The revision touches instrument scope, identification and a number of field level definitions, with an implementation window rather than an overnight switch. Firms should be treating the revised standards as a data sourcing project, not a mapping exercise at the ARM.
[EU] EMIR Refit in steady state: The EMIR Refit standards are now in business as usual supervision. Attention has moved from go live to data quality: reconciliation breaks, late reporting, and the accuracy and completeness questions national competent authorities are increasingly willing to raise directly with firms.
[EU] SFTR in the same conversation: SFTR sits inside the same simplification review. In the near term the pressure is again on quality and pairing rather than new obligations, with the longer term question being how much of the SFTR data set survives in its current form if a report once model advances.
[UK] The UK MiFIR transaction reporting rewrite: The FCA has finalised its streamlined UK regime. Transaction report fields fall from 65 to 52, FX derivatives come out of scope, a large population of EU only instruments falls away, and the correction period shortens from five years to three, with effect from 3 April 2028. The shorter correction window is the detail that matters for remediation planning: the time available to put historic errors right is narrowing.
[Both] Divergence is now a live operating cost: EU and UK reporting are being simplified in different directions and on different timetables. Dual reporting firms should assume two field sets, two validation regimes and two supervisory styles for the foreseeable future, and build the control framework accordingly.
06. About Reg-X Innovations.
Reg-X Innovations is an ALTALLO member specialising in regulatory reporting across MiFIR, EMIR, SFTR, REMIT and global reporting regimes, covering assurance, remediation, back reporting and ongoing reporting oversight for asset managers, brokers and trading firms.